bootstraptraits.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005, 2007 StatPro Italia srl
 Copyright (C) 2011 Ferdinando Ametrano
 Copyright (C) 2007 Chris Kenyon
 Copyright (C) 2019 SoftSolutions! S.r.l.
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file bootstraptraits.hpp
    \brief bootstrap traits
*/
 
#ifndef ql_bootstrap_traits_hpp
#define ql_bootstrap_traits_hpp
 
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/termstructures/yield/interpolatedsimplezerocurve.hpp>
#include <ql/termstructures/yield/forwardcurve.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
 
namespace QuantLib {
 
    namespace detail {
        const Real avgRate = 0.05;
        const Real maxRate = 1.0;
    }
 
    //! Discount-curve traits
    struct Discount {
        // interpolated curve type
        template <class Interpolator>
        struct curve {
            typedef InterpolatedDiscountCurve<Interpolator> type;
        };
        // helper class
        typedef BootstrapHelper<YieldTermStructure> helper;
 
        // start of curve data
        static Date initialDate(const YieldTermStructure* c) {
            return c->referenceDate();
        }
        // value at reference date
        static Real initialValue(const YieldTermStructure*) {
            return 1.0;
        }
 
        // guesses
        template <class C>
        static Real guess(Size i,
                          const C* c,
                          bool validData,
                          Size) // firstAliveHelper
        {
            if (validData) // previous iteration value
                return c->data()[i];
 
            if (i==1) // first pillar
                return 1.0/(1.0+detail::avgRate*c->times()[1]);
 
            // flat rate extrapolation
            Real r = -std::log(c->data()[i-1])/c->times()[i-1];
            return std::exp(-r * c->times()[i]);
        }
 
        // possible constraints based on previous values
        template <class C>
        static Real minValueAfter(Size i,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                return *(std::min_element(c->data().begin(),
                                          c->data().end()))/2.0;
            }
            Time dt = c->times()[i] - c->times()[i-1];
            return c->data()[i-1] * std::exp(- detail::maxRate * dt);
        }
        template <class C>
        static Real maxValueAfter(Size i,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            Time dt = c->times()[i] - c->times()[i-1];
            return c->data()[i-1] * std::exp(detail::maxRate * dt);
        }
 
        // transformation to add constraints to an unconstrained optimization
        template <class C>
        static Real transformDirect(Real x, Size i, const C* c)
        {
            return std::exp(x);
        }
        template <class C>
        static Real transformInverse(Real x, Size i, const C* c)
        {
            return std::log(x);
        }
 
        // root-finding update
        static void updateGuess(std::vector<Real>& data,
                                Real discount,
                                Size i) {
            data[i] = discount;
        }
        // upper bound for convergence loop
        static Size maxIterations() { return 100; }
    };
 
 
    //! Zero-curve traits
    struct ZeroYield {
        // interpolated curve type
        template <class Interpolator>
        struct curve {
            typedef InterpolatedZeroCurve<Interpolator> type;
        };
        // helper class
        typedef BootstrapHelper<YieldTermStructure> helper;
 
        // start of curve data
        static Date initialDate(const YieldTermStructure* c) {
            return c->referenceDate();
        }
        // dummy value at reference date
        static Real initialValue(const YieldTermStructure*) {
            return detail::avgRate;
        }
 
        // guesses
        template <class C>
        static Real guess(Size i,
                          const C* c,
                          bool validData,
                          Size) // firstAliveHelper
        {
            if (validData) // previous iteration value
                return c->data()[i];
 
            if (i==1) // first pillar
                return detail::avgRate;
 
            // extrapolate
            Date d = c->dates()[i];
            return c->zeroRate(d, c->dayCounter(),
                               Continuous, Annual, true);
        }
 
        // possible constraints based on previous values
        template <class C>
        static Real minValueAfter(Size,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                return r<0.0 ? Real(r*2.0) : Real(r/2.0);
            }
            // no constraints.
            // We choose as min a value very unlikely to be exceeded.
            return -detail::maxRate;
        }
        template <class C>
        static Real maxValueAfter(Size,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                return r<0.0 ? Real(r/2.0) : Real(r*2.0);
            }
            // no constraints.
            // We choose as max a value very unlikely to be exceeded.
            return detail::maxRate;
        }
 
        // transformation to add constraints to an unconstrained optimization
        template <class C>
        static Real transformDirect(Real x, Size i, const C* c)
        {
            return x;
        }
        template <class C>
        static Real transformInverse(Real x, Size i, const C* c)
        {
            return x;
        }
 
        // root-finding update
        static void updateGuess(std::vector<Real>& data,
                                Real rate,
                                Size i) {
            data[i] = rate;
            if (i==1)
                data[0] = rate; // first point is updated as well
        }
        // upper bound for convergence loop
        static Size maxIterations() { return 100; }
    };
 
 
    //! Forward-curve traits
    struct ForwardRate {
        // interpolated curve type
        template <class Interpolator>
        struct curve {
            typedef InterpolatedForwardCurve<Interpolator> type;
        };
        // helper class
        typedef BootstrapHelper<YieldTermStructure> helper;
 
        // start of curve data
        static Date initialDate(const YieldTermStructure* c) {
            return c->referenceDate();
        }
        // dummy value at reference date
        static Real initialValue(const YieldTermStructure*) {
            return detail::avgRate;
        }
 
        // guesses
        template <class C>
        static Real guess(Size i,
                          const C* c,
                          bool validData,
                          Size) // firstAliveHelper
        {
            if (validData) // previous iteration value
                return c->data()[i];
 
            if (i==1) // first pillar
                return detail::avgRate;
 
            // extrapolate
            Date d = c->dates()[i];
            return c->forwardRate(d, d, c->dayCounter(),
                                  Continuous, Annual, true);
        }
 
        // possible constraints based on previous values
        template <class C>
        static Real minValueAfter(Size,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                return r<0.0 ? Real(r*2.0) : Real(r/2.0);
            }
            // no constraints.
            // We choose as min a value very unlikely to be exceeded.
            return -detail::maxRate;
        }
        template <class C>
        static Real maxValueAfter(Size,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                return r<0.0 ? Real(r/2.0) : Real(r*2.0);
            }
            // no constraints.
            // We choose as max a value very unlikely to be exceeded.
            return detail::maxRate;
        }
 
        // transformation to add constraints to an unconstrained optimization
        template <class C>
        static Real transformDirect(Real x, Size i, const C* c)
        {
            return x;
        }
        template <class C>
        static Real transformInverse(Real x, Size i, const C* c)
        {
            return x;
        }
 
        // root-finding update
        static void updateGuess(std::vector<Real>& data,
                                Real forward,
                                Size i) {
            data[i] = forward;
            if (i==1)
                data[0] = forward; // first point is updated as well
        }
        // upper bound for convergence loop
        static Size maxIterations() { return 100; }
    };
 
    //! Simple Zero-curve traits
    struct SimpleZeroYield {
        // interpolated curve type
        template <class Interpolator>
        struct curve {
            typedef InterpolatedSimpleZeroCurve<Interpolator> type;
        };
        // helper class
        typedef BootstrapHelper<YieldTermStructure> helper;
 
        // start of curve data
        static Date initialDate(const YieldTermStructure* c) {
            return c->referenceDate();
        }
        // dummy value at reference date
        static Real initialValue(const YieldTermStructure*) {
            return detail::avgRate;
        }
 
        // guesses
        template <class C>
        static Real guess(Size i,
                          const C* c,
                          bool validData,
                          Size) // firstAliveHelper
        {
            if (validData) // previous iteration value
                return c->data()[i];
 
            if (i==1) // first pillar
                return detail::avgRate;
 
            // extrapolate
            Date d = c->dates()[i];
            return c->zeroRate(d, c->dayCounter(),
                               Simple, Annual, true);
        }
 
        // possible constraints based on previous values
        template <class C>
        static Real minValueAfter(Size i,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            Real result;
            if (validData) {
                Real r = *(std::min_element(c->data().begin(), c->data().end()));
                result = r<0.0 ? Real(r*2.0) : r/2.0;
            } else {
                // no constraints.
                // We choose as min a value very unlikely to be exceeded.
                result = -detail::maxRate;
            }
            return std::max(result, -1.0 / c->times()[i] + 1E-8);
        }
        template <class C>
        static Real maxValueAfter(Size,
                                  const C* c,
                                  bool validData,
                                  Size) // firstAliveHelper
        {
            if (validData) {
                Real r = *(std::max_element(c->data().begin(), c->data().end()));
                return r<0.0 ? Real(r/2.0) : r*2.0;
            }
            // no constraints.
            // We choose as max a value very unlikely to be exceeded.
            return detail::maxRate;
        }
 
        // transformation to add constraints to an unconstrained optimization
        template <class C>
        static Real transformDirect(Real x, Size i, const C* c)
        {
            return std::exp(x) + (-1.0 / c->times()[i] + 1E-8);
        }
        template <class C>
        static Real transformInverse(Real x, Size i, const C* c)
        {
            return std::log(x - (-1.0 / c->times()[i] + 1E-8));
        }
 
        // root-finding update
        static void updateGuess(std::vector<Real>& data,
                                Real rate,
                                Size i) {
            data[i] = rate;
            if (i==1)
                data[0] = rate; // first point is updated as well
        }
        // upper bound for convergence loop
        static Size maxIterations() { return 100; }
    };
 
 
}
 
#endif